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Query: faculty: "FEB" and publication year: "2009"

AuthorsM. Anufriev, V. Panchenko
TitleAsset prices, traders’ behavior and market design
JournalJournal of Economic Dynamics & Control
Volume33
Year2009
Issue5
Pages1073-1090
ISSN01651889
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe dynamics of a financial market with heterogeneous agents are analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under different trading protocols. The key behavioral feature of the model is the switching by agents between simple forecasting rules on the basis of a fitness measure. By analyzing the dynamics under order-driven protocols we show that the behavioral and structural assumptions of the model are closely intertwined. The high responsiveness of agents to a fitness measure causes excess volatility, but the frictions of the order-driven markets may stabilize the dynamics. We also analyze and compare allocative efficiency and time series properties under different protocols.

Keywords: Asset pricing model; Heterogeneous beliefs; Learning; Trading protocols; Market architecture

JEL classification codes: G12; D44; D61; C62
Document typeArticle
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